A preferred non-surgical method for inserting a catheter or vascular sheath into a blood vessel involves the use of the Seldinger technique, which includes an access needle that is inserted into a patient's blood vessel. A guidewire is inserted through the needle and into the vessel. The needle is removed, and a dilator and sheath combination are then inserted over the guidewire. The dilator and sheath combination is then inserted a short distance through the tissue into the vessel, after which the dilator is removed and discarded. The catheter is then inserted through the sheath into the vessel to a desired location. A number of vascular access devices are known. See, for example, U.S. Pat. Nos. 4,581,019, 4,629,450, 4,772,264, 4,978,334, 5,158,544, 5,424,410, 5,312,355, 5,512,052, 5,728,132, 5,885,217, 5,919,160, 6,120,494, 6,179,823, and 6,210,366, each of which is incorporated herein by reference, wherein various devices for vascular access are described. However, none of these devices has the ease and safety of use that physicians would prefer, and there is thus a need for an easier-to-use and safer vascular access device, especially one that would clearly indicate when a blood vessel has been punctured.